Regulation fair disclosure and the cost of adverse selection

Regulation FD, imposed by the Securities and Exchange Commission (SEC) in October 2000, was designed to create a level playing field by prohibiting selective disclosure of material private information to particular groups. Exactly what advantage these groups gain is unclear. If multiple insiders receive identical information, the information is immediately incorporated in price and the expected profit of each insider is zero. Regardless of the SEC’s motivation in imposing Regulation FD, empirical investigation has shown that it has had a chilling effect, with firms now disclosing less information. With less information flow, private information becomes more long-lived and valuable. With increased risk of providing immediacy to informed traders, market makers will demand increased compensation, widening the bid/ask spread. To test this proposition, we identify the cost components of the bid/ask spread for a sample of NASDAQ stocks in the period just before and just after the implementation of Regulation FD. The evidence indicates that Regulation FD has led to an increase in the expected cost of the adverse selection component of the spread

Ownership, competition, and financial disclosure

Empirical research on firms’ (dis)incentives to disclose investigates the effects of a range of variables including information asymmetry, agency costs, political costs, and proprietary costs. Verrecchia (2001) argues that economic-based models of disclosure must establish a link between financial reporting and its economic consequences. In response to Verrecchia (2001) and drawing on the industrial organization and strategic management disciplines we introduce a new variable (measuring insider ownership and industry competition) which links both the internal and external environments of the firm and demonstrate that it adds to our understanding of discretionary financial disclosure decisions. We test the model by examining voluntary segment disclosures in Australian firms. We find that our new variable linking the internal and external environment of the firm, alongside previously tested variables including ownership diffusion, return and size is significant. We conduct a series of robustness tests on our model and find that the significance of the model is robust to the inclusion of variables measuring the change in standard, acquisitions and disposals and cross listing on the US stock exchange

Implied Volatility Functions: Empirical Tests

Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black-Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of the asset price and time and develop the deterministic volatility function (DVF) option valuation model, which has the potential of fitting the observed cross-section of option prices exactly. Using a sample of S&P 500 index options during the period June 1988 through December 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive and hedging performance of the DV option valuation model. We find that its performance is worse than that of an ad hoc Black-Scholes model with variable implied volatilities.

The Ursinus Weekly, October 3, 1974

Statistics prove rumor unfounded • WRUC FM hits the air • New chaplain brings new ideas to U.C. • Musical forum presented by Mme. Agi Jambor • Dr. Williamson authors new study of Corinthians • Editorial • Pages from Ursinus past • Alumni corner: Assurance to insurance • Summer in the city • Letter from London • S.F.A.R.C. and you • Assistant Deans of Men and Women appointed • Festival help needed • Slow boat to China • Harriers sweep Drew and Eastern • The Spirit of the 76ers • Women\u27s hockey season opens • Why Bears?https://digitalcommons.ursinus.edu/weekly/1020/thumbnail.jp

Guidelines of the American Society of Mammalogists for the use of wild mammals in research

Guidelines for use of wild mammal species are updated from the American Society of Mammalogists (ASM) 2007 publication. These revised guidelines cover current professional techniques and regulations involving mammals used in research and teaching. They incorporate additional resources, summaries of procedures, and reporting requirements not contained in earlier publications. Included are details on marking, housing, trapping, and collecting mammals. It is recommended that institutional animal care and use committees (IACUCs), regulatory agencies, and investigators use these guidelines as a resource for protocols involving wild mammals. These guidelines were prepared and approved by the ASM, working with experienced professional veterinarians and IACUCs, whose collective expertise provides a broad and comprehensive understanding of the biology of nondomesticated mammals in their natural environments. The most current version of these guidelines and any subsequent modifications are available at the ASM Animal Care and Use Committee page of the ASM Web site (http://mammalsociety.org/committees/index.asp).American Society of Mammalogist

Quantum interference experiments, modular variables and weak measurements

We address the problem of interference using the Heisenberg picture and highlight some new aspects through the use of pre-selection, post-selection, weak measurements, and modular variables, We present a physical explanation for the different behaviors of a single particle when the distant slit is open or closed: instead of having a quantum wave that passes through all slits, we have a localized particle with non-local interactions with the other slit(s). We introduce a Gedankenexperiment to measure this non-local exchange. While the Heisenberg picture and the Schrodinger pictures are equivalent formulations of quantum mechanics, nevertheless, the results discussed here support a new approach which has led to new insights, new intuitions, new experiments, and even the possibility of new devices that were missed from the old perspective

Adolescents with metabolic syndrome have a history of low aerobic fitness and physical activity levels

Abstract: Purpose: Metabolic syndrome (MS) is a clustering of cardiovascular disease risk factors that identifies individuals with the highest risk for heart disease. Two factors that may influence the MS are physical activity and aerobic fitness. This study determined if adolescent with the MS had low levels of aerobic fitness and physical activity as children. Methods: This longitudinal, exploratory study had 389 participants: 51% girls, 84% Caucasian, 12% African American, 1% Hispanic, and 3% other races, from the State of North Carolina. Habitual physical activity (PA survey), aerobic fitness (VO2max), body mass index (BMI), blood pressure, and lipids obtained at 7–10 y of age were compared to their results obtained 7 y later at ages 14–17 y. Results: Eighteen adolescents (4.6%) developed 3 or more characteristics of the MS. Logistic regression, adjusting for BMI percentile, blood pressure, and cholesterol levels, found that adolescents with the MS were 6.08 (95%CI = 1.18–60.08) times more likely to have low aerobic fitness as children and 5.16 (95%CI = 1.06–49.66) times more likely to have low PA levels. Conclusion: Low levels of childhood physical activity and aerobic fitness are associated with the presence of the metabolic syndrome in adolescents. Thus, efforts need to begin early in childhood to increase exercise

Crystal structure of a tripartite complex between C3dg, C-terminal domains of factor H and OspE of Borrelia burgdorferi

Complement is an important part of innate immunity. The alternative pathway of complement is activated when the main opsonin, C3b coats non-protected surfaces leading to opsonisation, phagocytosis and cell lysis. The alternative pathway is tightly controlled to prevent autoactivation towards host cells. The main regulator of the alternative pathway is factor H (FH), a soluble glycoprotein that terminates complement activation in multiple ways. FH recognizes host cell surfaces via domains 19–20 (FH19-20). All microbes including Borrelia burgdorferi, the causative agent of Lyme borreliosis, must evade complement activation to allow the infectious agent to survive in its host. One major mechanism that Borrelia uses is to recruit FH from host. Several outer surface proteins (Osp) have been described to bind FH via the C-terminus, and OspE is one of them. Here we report the structure of the tripartite complex formed by OspE, FH19-20 and C3dg at 3.18 Å, showing that OspE and C3dg can bind simultaneously to FH19-20. This verifies that FH19-20 interacts via the “common microbial binding site” on domain 20 with OspE and simultaneously and independently via domain 19 with C3dg. The spatial organization of the tripartite complex explains how OspE on the bacterial surface binds FH19-20, leaving FH fully available to protect the bacteria against complement. Additionally, formation of tripartite complex between FH, microbial protein and C3dg might enable enhanced protection, particularly on those regions on the bacteria where previous complement activation led to deposition of C3d. This might be especially important for slow-growing bacteria that cause chronic disease like Borrelia burgdorferi.Peer reviewe

Analogy making and the structure of implied volatility skew

An analogy based option pricing model is put forward. If option prices are determined in accordance with the analogy model, and the Black Scholes model is used to back-out implied volatility, then the implied volatility skew arises, which flattens as time to expiry increases. The analogy based stochastic volatility and the analogy based jump diffusion models are also put forward. The analogy based stochastic volatility model generates the skew even when there is no correlation between the stock price and volatility processes, whereas, the analogy based jump diffusion model does not require asymmetric jumps for generating the skew